John van der Hoek, Robert J Elliott

Binomial Models in Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment.

The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options.

John van der Hoek is Senior Lecturer in Applied Mathematics at the University of Adelaide. He has developed courses in finance for a number of years at various levels and is a regular plenary speaker at major conferences on Quantitative Finance.

Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary. He is the author of over 300 research papers and several books, including Mathematics of Financial Markets, Second Edition (with P. Ekkehard Kopp), Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and Measure Theory and Filtering: Theory and Applications (with Lakhdar Aggoun). He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications, and the Canadian Applied Mathematics Quarterly.

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Produktdetails

• Verlag: Springer US
• Seitenzahl: 306
• Erscheinungstermin: 18. April 2006
• Englisch
• ISBN-13: 9780387316079
• Artikelnr.: 37287523

Autorenporträt

John van der Hoek, University of Adelaide, Australia / Robert J. Elliott, University of Calgary, AB, Canada

Inhaltsangabe

The Binomial Model for Stock Options.- The Binomial Model for Other Contracts.- Multiperiod Binomial Models.- Hedging.- Forward and Futures Contracts.- American and Exotic Option Pricing.- Path-Dependent Options.- The Greeks.- Dividends.- Implied Volatility Trees.- Implied Binomial Trees.- Interest Rate Models.- Real Options.- The Binomial Distribution.- An Application of Linear Programming.- Volatility Estimation.- Existence of a Solution.- Some Generalizations.- Yield Curves and Splines.

Rezensionen

From the reviews: "Overall, this is an excellent 'workbook' for practitioners who seek to understand and apply financial asset price models by working through a comprehensive collection of both theoretical and dataset-driven numerical examples, follwoed by up to 15 end-of-chapter exercises with elaborated parts taht help clarify the mathematical and computational aspects of the chapter." Wai F. Chiu for the Journal of the American Statistical Association, December 2006 "This is a textbook on the mathematics of pricing and hedging financial derivatives with discrete stochastic models. It is directed towards a readership that is interested in the principles and applications of mathematical finance ... . A nice feature is the very clear descriptions of financial terms, which, on the one hand, are often missing in more mathematics-oriented books and, on the other hand, can be somewhat imprecise in textbooks aiming at the business community." (A. Schied, Short Book Reviews, Vol. 26 (2), 2006) "The book is written by leading specialists in modern stochastic financial modeling. ... The book is well written, with a good balance between mathematical tools and arguments and financial topics. It is nice to see proofs of several important properties of financial characteristics and rules for option pricing. Specific numerical examples are given to illustrate ideas and rules. ... Without any reservations the book can be strongly recommended not only to institutional libraries but also to anybody working or with interests in stochastic financial modeling." (Jordan M. Stoyanov, Zentralblatt MATH, Vol. 1107 (9), 2007)